Do you have a OS CD in the CD-ROM drive? Is the CD-ROM drive set as first boot device in BIOS?
Does the hard drive have an OS on it already or is it blank?
Make sure the drive jumpers are set properly for the type of IDE cable you're using. If you're using 80 wire IDE cables, set the jumpers to CS or CSel (cable select). If you're using 40 wire IDE cables, set the drive jumper to master or slave depending on what priority you want for that drive.
Cricket